Stability of equilibrium asset pricing models: A necessary and sufficient condition

• 成果类型: Article
• 署名作者: Borovicka, Jaroslav; Stachurski, John
• 署名单位: New York University; National Bureau of Economic Research; Australian National University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105227
• 发表日期: 2021
• 关键词: Asset pricing; Equilibrium prices; Spectral methods

摘要

We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Using local spectral radius methods, we connect the condition, and hence the problem of existence and uniqueness of asset prices, with the recent literature on stochastic discount factor decompositions. Our results include a globally convergent method for computing prices whenever they exist. Convergence of this iterative method itself implies both existence and uniqueness of equilibrium asset prices. (c) 2021 Elsevier Inc. All rights reserved.